BTS2 FIX Certification Pack - Bursa Malaysia...BTS2 FIX Certification Version 1.12 Page 2 of 34 Document Revision Version Author Description of Version Date Completed 1.01 Ong Kian

BTS2 FIX Certification Version 1.12

Page 1 of 34

BTS2 FIX Certification Pack

Version 1.12

10 October, 2019


Page 2 of 34

Document Revision

Version Author Description of Version Date Completed

1.01 Ong Kian Wah This document describes the BURSA BTS2 FIX Certification for Module A,B and C 15 April, 2013

1.02 Ong Kian Wah Updated : Module A, B and C

Added : Module D

15 May, 2013

1.03 Ong Kian Wah Module E and F

E1.01 : Limit-Day Orders with Minimum Quantity would be available in next release(17/06/2013).

31 May, 2013

1.04 Ong Kian Wah Updated : Module E

E1.01 : Limit-Day Orders with MinQTY is supported on this release.

04 June, 2013

1.05 Ong Kian Wah Added : A4.08

Updated : Module F

F1 – Single Quote per security

F2 – Multiple Quotes per security

F3 – Multiple Quotes with different security

07 June, 2013

1.06 Ong Kian Wah Removed : A4.06 (replaces with A4.08)

Updated : A4.01(optional)

Updated : Module D

26 June, 2013

1.07 Ong Kian Wah Removed : D1.05

Updated : Module D – Only Seller can initiate DBT

05 October, 2013

1.08 Ong Kian Wah Added : Module E.E4

Added : Module G

01 August, 2014

1.09 Ong Kian Wah Added : Module G4(GTC) 01 October, 2017


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1.10 Ong Kian Wah Updated : Move A1.04 to E.E5(RSS)

Updated : Move A1.05 to E.E6(PDT)

Added : Module E.E7(IDSS)

05 February, 2018

1.11 Ong Kian Wah Added : Module E.E8(LOC/MOC) (Self-certification)

Added : Module E.E9(LOO/MOO) (Self-certification)

Added : Module E.E10(Iceberg) (Self-certification)

Added : Module E.E11(OCO) (Self-certification)

10 December, 2018

1.12 Ong Kian Wah Updated : Module A, C and G mandatory effective 29 September 2019

Added : Module E.E12(PSS)

Updated : Module F support PSS

10 October. 2019


Page 4 of 34

Table of Contents

1. Introduction ......................................................................................................................................................... 5

2. Session Management .......................................................................................................................................... 6

3. Order Management ............................................................................................................................................. 7

3.1 Module A : Basic Trading ................................................................................................................................ 9

3.2 Module B : On-Market Married Transaction .................................................................................................. 12

3.3 Module C : Client Amendment ....................................................................................................................... 13

3.4 Module D : Direct Business Transaction ........................................................................................................ 14

3.5 Module E : Advance Trading .......................................................................................................................... 16

3.6 Module F : Market Maker ............................................................................................................................... 29

3.7 Module G : GTD/GTC Order ......................................................................................................................... 32


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1. Introduction

Audience and Purpose

The purpose of this document is to provide test cases and other necessary details to customers for successful completion of the BTS2 FIX certification. This FIX Certification Test Cases Guide is intended to cover a range of functional elements for participant organisations and independent software vendors to certify their application in interfacing with the exchange BTS2 FIX gateway, based on the Financial Information eXchange (FIX) Protocol. The test cases are designed to ensure that a robust platform is in operation between participants and the exchange.

Instruments Used in Certification Instruments to be used in certification will be provided by Exchange on the certification date.

Testing Arrangements Prior to undertaking Certification, all participants are required to complete the connectivity setup to the Certification environment. Please

refer to the network connection guide document “FIX Certification Environment VPN Connection Guide” at www.bursamalyasia.com\bts2.

Related Documentation

FIX Certification Environment VPN Connection Guide

BTS2-Onboarding To Certification Environment Guidelines

BTS2 FIX Specification–Order Management

BTS2 FIX Certification Test Log

http://www.bursamalaysia.com/misc/system/assets/4429/BTS2_FIX_CERT_Connectivity.pdf

http://www.bursamalaysia.com/misc/system/assets/4429/BTS2_FIX_CERT_Connectivity.pdf


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2. Session Management

The Session Management Test assesses the ability to establish a connection and login. The Session Management Test forms the initial phase of the Certifications Tests. Connection to the system must be maintained throughout the full testing schedule. A failure to maintain connection at any point during the Certification Tests will constitute a failure of the Certification Test. Please note that if at any point, a heartbeat message is not received after the heartbeatInterval periods have elapsed, the Customer Test environment will logoff the user and disconnect the session. This will also constitute a failure of the Certification Test. The FIX Session Management is prerequisites prior to the Order Management Certification.

Logon(A)

Logout(5)

Reject(3)

Resend Request(2)

Sequence Reset (Gap Fill)(4)

Test Request(1)

Heartbeat(0)

Important Note: Prior to booking for Certification Tests, all participants are required to complete the FIX Session Management and submit the logs to Exchange.


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3. Order Management

The Order Management test cases cover all order types supported by Exchange against the exchange rules and requirement. The Order Management Certification package consists of several module parts;

Module Description

A. Basic Trading

[Mandatory effective 29

September 2019]

Normal, Odd-Lot & Buy-In Market Segment

Limit and Market Order Types

Day and FAK(IOC) Validities

Order Restrictions Tagging

B. On-Market Married Transaction Cross Orders in Normal Market Segment

C. Client Amendment


September 2019]

CDS Account Amendment at Order Level

D. Direct Business Transactions Trade Capture Report(DBT)

E. Advance Trading Other Order Types & Validities

Minimum Quantity

RSS, PDT and IDSS

Market-On-Close(MOC)/Limit-On-Close(LOC)

Market-On-Open(MOO)/Limit-On-Open(LOO)

Iceberg

One-Cancel-Other(OCO)

PSS

F. Market Maker Mass Quote

Support PSS(537=100 or 101)

Implementation and usage of the

trading features are subject to

current and future Bursa

Malaysia Securities rules and

regulations, Trading Manual for

participant organisations and all

other relevant directives.


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G. GTD/GTC Order


September 2019]

Good-till-Date

Good-till-Cancelled

Unless specified in the test case, the following market states apply:

Trading session is in Continuous Trading;

Instruments are in Authorized/Open mode;


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3.1 Module A : Basic Trading

No Test Case External Input Exchange Input Expected Results

A1 Normal Market[762=NM] Instrument = INST1

01 Limit-Day Order

01.Send Buy Order(Qty=5000)

04.Send Order Modification on Price

02. Send Sell Order(Qty=2000)

05. Send Sell Order(Qty=3000)

03.Partially Matched(Qty=2000)

06.Fully Matched(Qty=3000)

02

Limit-Day Order

01.Send Sell Order(Qty=6000)

04.Send Order Cancellation



05.Remaining order qty cancelled

03

Limit-Day Order


04.Send Order Modification(Qty remaining=1000)


10.Send Order Status Request(Optional)









04 Limit-Day Sell Order, RSS*

(54=5)

01.Send RSS Order(Qty=8000)








05 Limit-Day Sell Order, PDT

(54=6)

01.Send PDT Order(Qty=9000)


02.Send Buy order(Qty=5000) 03.Partially Matched(Qty=5000)


06 Limit-FAK Order





05.Remaining order qty expired

07 Market-FAK Order 01.Send Sell Order(Qty=8000) 02.Order rejected by system

08

Market-FAK Order




04.Remaining order qty expired

09 Market-FAK Order



03.Full Matched(Qty=10000)


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10 Market-Day Order






05.Remaining order qty convert to Limit

A2 Odd-Lot Market[762=OD] Instrument = INST1

01 Odd-Lot Limit-Day Order







02 Odd-Lot Limit-Day Order



02. Send Buy Order(Qty=66) 03.Partially Matched(Qty=66)


A3 Buy-In Market[762=BI] Instrument = INST2, INST3

01 Buy-In Market-FAK Order

02.Send Sell Buy-In Order(Qty=1500)

01.INST2 Buy-In Board(Qty=1000)



02 Buy-In Market-FAK Order

02.Send Sell Buy-In Order(Qty=2000)

01.INST3 Buy-In Board(Qty=2000)


A4 Other[Normal Market] Instrument = INST4

01 Order Mass Action Request

[optional] by Client

01. Send FIVE Sell LIMIT Order(Qty=1000)

02. Send Order Mass Action Request

03.All Order Cancelled

02 Unsolicited Order Cancellation by

Exchange

01.Send Buy LIMIT Order(Qty=2000)

04.Send Sell LIMIT Order(Qty=3000)

02.Cancel Single Order


07.Cancel Single Order

03.Order cancelled



03 Unsolicited Mass Order

Cancellation by Exchange

01.Send FIVE Buy LIMIT Order(Qty=4000) 02.Cancel Orders by FIX User ID 03.All Order Cancelled

04 Unsolicited Trade Cancellation by

Exchange

01.Send Buy Limit Order(Qty=5000) 02.Send Sell Order(Qty=5000)

04.Cancel Trade


05.Trade cancelled(Qty=5000)

05 Unsolicited Trade Cancellation by 01.Send Buy Limit Order(Qty=6000) 02.Send Sell Order(Qty=3000) 03.Partially Matched(Qty=3000)


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Exchange



06.Cancel 1st Trade(Qty=3000)


07.Trade Cancelled(Qty=3000)


06 Order Created by Exchange

05.Send Order Cancellation(by OrderID)

01.Create Buy Order behalf(Qty=7000)


02.Order Received by External



07 Order Restrictions Tagging

01.Send Limit Order with 529 with value below:

9 – ASEAN Link

E – Algorithmic

I – Internet

M – DMA

R – Broker Assisted

08 Order Created by Exchange in Buy-

In Board

Eg, Auto or Manual Buy-In by the

Exchanged due to fail trade.

Note: The Exchange will submit a

GTC or GTD Market Buy-In Buy

Order on behalf of Defaulter.

01.Create Buy-In BUY order on behalf

(GTC order, Qty=8000)



08. Create Buy-In BUY order on behalf

(GTD order, Qty=9000)


02.Order Received by Defaulter

04.Trade Received by Defaulter


07.Order remain in book until cancel*

09.Order Received by Defaulter


12.Order remain in book until expired*

*This is to inform that any GTC/GTD

unmatched order will carry forward to

next day until it cancelled or expired.


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3.2 Module B : On-Market Married Transaction


B1 Normal Market[762=NM] Instrument = INST1

01 OMMT/Cross Order

01.Send OMMT Order(Qty=1000)


02 OMMT/Cross Order

-Rejected

01.Send OMMT Order(Qty=2000) with invalid

price

02.Order rejected with 2 execution

report


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3.3 Module C : Client Amendment


C1 Normal Market[762=NM] Instrument = INST1

01 Client Amendment on without

matched order

01.Send Buy Limit-Day Order(Qty=2500)

02.Send Client Amendment


03.Client Amendment rejected


02 Client Amendment on Fully

matched order







03 Client Amendment on Partially

matched order










04 Double Client Amendment 01.Send Buy Limit-Day Order(qty=5500)


05.Send 1st Client Amendment(Account A to B)

06.Send Order Modification on Qty(qty=6000)

*Qty remaining=4000

09.Send 2nd Client Amendment(Account B to C)







05 Client Amendment after market

closed



06.Send Client Amendment after market closed





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3.4 Module D : Direct Business Transaction

No

Test Case

External Input

Exchange Input Expected Results

D1 Inter-Broker Broker X(eg, 0024501)

Dealer A(eg, X001)

Broker Y(eg, 0087501)

Dealer B(eg, Y001)

01 TradeCaptureReportRequest(AD) 01.Subscribe for TradeCaptureReport(263=1)

02.TradeCaptureReportRequest Ack

02 TradeCaptureReport -Accept the order

01.Send SELL DBT Order(Qty=10001) 05.Accept the order

02.Accept the order 04.Send SELL DBT Order(Qty=10002)

03.Fully Matched(Qty=10001) 06.Fully Matched(Qty=10002)

03 TradeCaptureReport -Withdraw the order

01.Send SELL DBT Order(Qty=20001) 02.Withdraw the SELL DBT Order

04.Send SELL DBT Order(Qty=20002) 05.Withdraw the Sell DBT Order

03.TradeCaptureReport - Cancel 06.TradeCaptureReport – Cancel

04 TradeCaptureReport -Decline the order

01.Send SELL DBT Order(Qty=30001)

05.Decline the order

02.Decline the order 04.Send SELL DBT Order(Qty=30002)

03.TradeCaptureReport - Decline

06.TradeCaptureReport - Decline

05 TradeCaptureReport -Time out

01.Send Buy DBT Order(Qty=40001)

03.Send Buy DBT Order(Qty=40002)

02.TradeCaptureReport - Cancel 04.TradeCaptureReport – Cancel

06 TradeCaptureReport -Trade cancellation accepted

01.Send SELL DBT Order(Qty=138000) 04.Send Trade Cancellation request 09.Accept the order 13.Accept Trade Cancellation request

02.Accept the order 06.Accept Trade cancellation request 08.Send SELL DBT Order(Qty=148000) 11.Send Trade Cancellation request

03.Fully Matched(Qty=138000) 05.Trade Pending Cancel 07.Trade Cancelled 10.Fully Matched(Qty=148000) 12.Trade Pending Cancel 14.Trade Cancelled

07 TradeCaptureReport

-Trade cancellation Declined

01.Send SELL DBT Order(Qty=238000)

04.Send Trade Cancellation request 09.Accept the order 13.Decline Trade Cancellation request

02.Accept the order

06.Decline Trade cancellation request 08.Send SELL DBT Order(Qty=248000) 11.Send Trade Cancellation request


05.Trade Pending Cancel 07.TradeAmend Ack 10.Fully Matched(Qty=248000) 12.Trade Pending Cancel 14.TradeAmend Ack


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D2 Intra-Broker Member X(eg, 0024501)

Dealer A(eg, X001)

Member Y(eg, 0024502)

Dealer B(eg, X002)

01 TradeCaptureReport -Accept the order

01.Send SELL DBT Order(Qty=10000) 05.Accept the order


03.Fully Matched(Qty=10000) 06.Fully Matched(Qty=20000)

02 TradeCaptureReport -Trade cancellation

01.Send SELL DBT Order(Qty=30000) 04.Send Trade Cancellation request

07.Accept the order 09.Send Trade Cancellation request


03.Fully Matched(Qty=30000) 05.Trade Cancelled

08.Fully Matched(Qty=40000) 10.Trade Cancelled

D3 Intra-Broker

Crossing Trade

Member X(eg, 0024501)

Dealer A(eg, X001), Dealer B(eg, X002)

01 TradeCaptureReport -Crossing Trade

01.Send Crossing Trade(Qty=338000)


02 TradeCaptureReport -Trade cancellation

01.Send Trade Cancellation(D3.01) request

02.Trade Cancelled

03 TradeCaptureReportRequest(AD) 01.Unsubscribe for TradeCaptureReport(263=2)

02.No TradeCaptureReportRequest Ack


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3.5 Module E : Advance Trading

Buy Qty Buy Price Sell Price Sell Qty 200 19.00(B1) 19.10(S1) 100

400 18.90(B2) 19.20(S2) 300

600 18.80(B3) 19.30(S3) 500

800 18.70(B4) 19.40(S4) 700

1000 18.60(B5) 19.50(S5) 900

# Exchange Reference table for series of buy and sell orders. # Best Buy Price (B1-B5) and Best Sell Price (S1-S5) will provided by Exchange.

No

Test Case

External Input

Exchange Input Expected Results

E1

MinQty Instrument = INST1

01 Limit-Day Orders with Minimum

Quantity

Market-Day Orders with Minimum Quantity

02.Send Buy Limit-Day Order (Qty=300@S1,MinQty=200) 04.Send Buy Limit-Day Order (Qty=300@S1,MinQty=100) 07.Send Order Modification on qty (Qty remaining=500, MinQty=100) 10.Send Sell Market-Day Order (Qty=3500,MinQty=3500) 12.Send Sell Market-Day Order (Qty=3500,MinQty=3000)

01.Send a series of buy and sell orders

08.Send Sell Order(Qty=500@S1)

03. Order expired, MinQty is not met

05.Partially matched(Qty=100) 06.Remaining order(Qty=200) 09.Fully matched(Qty=500) 11.Order expired, MinQty is not met 13.Fully matched(qty=3000) 14.Remaining order qty convert to Limit

(Qty=500@B5)

02 Limit-FAK Orders with Minimum

Quantity Market-FAK Orders with Minimum Quantity

02.Send Buy Limit-FAK Order (Qty=300@S1,MinQty=200) 04.Send Buy Limit-FAK Order (Qty=300@S1,MinQty=100) 07.Send Sell Market-FAK Order (Qty=3500,MinQty=3500) 09.Send Sell Market-FAK Order (Qty=3500,MinQty=3000)

01.Send a series of buy and sell orders

03. Order expired, MinQty is not met 05.Partially matched(Qty=100) 06.Remaining order expired(Qty=200) 08.Order expired, MinQty is not met 10.Fully matched(qty=3000) 11.Remaining order expired(qty=500)


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E2

Market At Best Instrument = INST2

01 Market At Best(MAB)-Day Orders 02.Send Sell MAB-Day Order(Qty=300) 05.Send Order Modification(Qty remaining=500)

01. Send a series of buy and sell orders 06.Send Buy Order(Qty=500@B1)

03.Partially matched(Qty=200) 04.Remaining order qty convert to Limit

(Qty=100@B1) 07.Fully matched(Qty=500)

02 Market At Best(MAB)-FAK Orders 01.Send Buy MAB-FAK Order(Qty=300)

02.Partially matched(Qty=100) 03.Remaining order expired

E3

Stop Orders Instrument = INST3

01 Stop Limit Orders

TriggerPriceType=LastTrade(2) TriggerPriceDirection=Up

Note: LastDonePrice < TrigerPrice

02.Send Buy Stop Limit-Day order (Qty=200,Order Price=19.20,TriggerPrice=19.08) 04.Send Order Modification on TriggerPrice (Trigger Price=19.10)

05.Send Order Modification on Order Price (Order Price=19.10) 09.Send Order Modification on Qty(Qty=500) 12.Send Order Cancellation

01. Send a series of buy and sell orders

06.Send Buy Order([email protected]) 10.Send Sell Order([email protected])

03.Order with trigger in the book but no active(150=0,39=X)

07.Fully matched(qty=100) 08.Stop order is triggered but no matched(150=5,39=0) 11.Partially matched(qty=300) 13.Remaining order qty cancelled

02 Stop/Stop Loss Orders TriggerPriceType=LastTrade(2) TriggerPriceDirection=Down Note: LastDonePrice > TrigerPrice

01.Send Sell Stop Loss-Day order (Qty=3500,Trigger Price=19.00)

03.Send Sell Order([email protected])

02.Order with trigger in the book but no active(150=0,39=X) 04.Fully matched(qty=100) 05.Stop order is triggered(150=5,39=0) 06.Partially matched(qty=2800)

07.Remaining order qty convert to Limit

(Qty=700@B5)


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E4

Fill or Kill Orders Instrument = INST4

01 Limit-FOK Order




03.Order expired


02 Market-FOK Order




E5

RSS Instrument = INST5(RSS)

01 Limit-Day Sell Order, RSS

(54=5)

01.Send RSS Order(Qty=8000)*Revised 1








E6

PDT Instrument = INST6(PDT)

01 Limit-Day Sell Order, PDT

(54=6)

01.Send PDT Order(Qty=9000)




E7

IDSS Instrument = INST7(IDSS)

01

Limit-Day Sell Order, IDSS

(54=I)

01.Send IDSS Order(Qty=10000)








Amend limit to Limit-FOK or Market-FOK is not allowed. FOK EFFECTIVELY MinQty=OrderQty, since MinQty is not allowed in order amendment.

Revised 1 : Revised of RSS rules where RSS orders can only be entered at a price or above the best prevailing sell price.


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E8

LOC/MOC (Self-certification)

01

LOC - BUY Order

(59=7)

ON-CLOSE orders can be

submitted ONLY before the

Pre-Closing phase, i.e. Pre-

Opening and Continuous

Trading phases.

01. Send a series of buy and sell orders below BEFORE pre-closing phase * you can select any instrument & price but remain the qty as below.

Instrument A


4000 1.98(B2) 2.01(S2) 3000

3000 1.97(B3) 2.03(S3) 1500

02. Send LOC-Buy Order (Qty=3000, Price=2.01 or S2*) BEFORE pre-closing phase

* If you select different instrument & price, LOC order price equal to your S2 price level.

03. Verify the LOC(triggered) and order book at start of the pre-closing

Buy Qty Buy Price Sell Price Sell Qty 3000 2.01(LOC) 2.00 1000

2000 1.99 2.01 3000

4000 1.98 2.03 1500

3000 1.97

04. Verify the LOC(matching) and order book at closing

Buy Qty Buy Price Sell Price Sell Qty 2000 1.99 2.01 1000

4000 1.98 2.03 1500

3000 1.97

When triggered, Limit-On-Close(LOC) orders will be converted to LIMIT orders with SESSION(59=S) as validity and if

they are not fully matched at Closing, they will be expired automatically.

In addition, triggered LOC orders are checked against Last Price Limits and Static Price Limits.


Page 20 of 34

02 MOC - BUY Order

(59=7)

01. Send a series of buy and sell orders below BEFORE pre-closing phase * you can select any instrument & price but remain the qty as below.

Instrument B


4000 1.98 2.01 3000

3000 1.97 2.03 1500

02. Send MOC-Day Buy Order (Qty=5000) BEFORE pre-closing phase

03. Verify the MOC(triggered) and order book at start of the pre-closing

Buy Qty Buy Price Sell Price Sell Qty 5000 (MOC) 2.00 1000

2000 1.99 2.01 3000

4000 1.98 2.03 1500

3000 1.97

04. Verify the MOC(matching) and order book at closing


4000 1.98

3000 1.97

When triggered, Market-On-Close(MOC) orders will be converted to MARKET orders with SESSION(59=S) as validity and

if they are not fully matched at Closing, they will be expired automatically.

The different between MOC and Normal Market Order(40=1) orders with DAY(59=0) as validity.

Normal Market Order will be carry into next trading phase(i.e TAL), if they are not fully matched.


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E9

LOO/MOO (Self-certification)

01

LOO - BUY Order

(59=2)

ON-OPEN orders can be

submitted ONLY during the

first Pre-Opening

phase(POP1), i.e. 8:30-

9:00AM.

01. Send a series of buy and sell orders below ON first pre-opening phase * you can select any instrument & price but remain the qty/TOV as below.

Instrument A(TOP=2.01, TOV=3000)

Buy Qty Buy Price Sell Price Sell Qty 1000 2.03(S3) 2.00(S1) 2000

2000 2.02(B2) 2.01(S2) 3000

1500 1.99(B3) 2.03(S3) 1000

02. Send LOO- Buy Order (Qty=3500, Price=2.03 or S3*) ON first pre-opening phase

* If you select different instrument & price, LOO order price equal to your S3 price level.

03. Verify the LOO(triggered) and order book at start of the opening

Post-Opening(OP=2.01)


2.03 1000

04. Verify the LOO(matching) and order book at continuous-trading

Continuous-Trading

Buy Qty Buy Price Sell Price Sell Qty 500 2.03(LOO)

1500 1.99

05. Verify the LOO(Expired) at end of this phase

When triggered, Limit-On-Open(LOO) orders will be converted to LIMIT orders with SESSION(59=S) as validity and

partially matched orders will be carry into Continuous Trading(CNT1) phase.

On-Open orders carried into Continuous Trading phase will EXPIRED at the end of this CNT1 phase, i.e 12:30pm.

In addition, triggered LOO orders are checked against Dynamic Price Limits and Static Price Limits.


Page 22 of 34

02 MOO - BUY Order

(59=2)

01. Send a series of buy and sell orders below ON first pre-opening phase * you can select any instrument & price but remain the qty/TOV as below.

Instrument B(TOP=2.01, TOV=3000)

Buy Qty Buy Price Sell Price Sell Qty 1000 2.03(S3) 2.00(S1) 2000

2000 2.02(B2) 2.01(S2) 3000

1500 1.99(B3) 2.03(S3) 1000

02. Send MOO- Buy Order (Qty=3500) ON first pre-opening phase

03. Verify the MOO(triggered) and order book at start of the opening

Post-Opening(OP=2.01)


2.03 1000

04. Verify the MOO(matching) and order book at continuous-trading

Continuous-Trading

Buy Qty Buy Price Sell Price Sell Qty 1500 2.01(MOO) 2.03 1000

1500 1.99

05. Verify the MOO(Expired) at end of this phase

When triggered, Market-On-Open(MOO) orders will only match at Opening Price(OP) and orders will be expired if cannot

matched.

Partially matched orders will be converted to LIMIT orders with limit price as Opening Price with SESSION(59=S) as

validity and will be carry into Continuous Trading(CNT1) phase.

On-Open orders carried into Continuous Trading phase will EXPIRED at the end of this CNT1 phase, i.e 12:30pm.

**Any order amendment on partially matched order will change the validity from Session(59=S) to Day(59=0). Only

59=0 is supported for inbound at this moment. Day orders will be expired at the end of market closed, i.e 17:30pm.


Page 23 of 34

E10

Iceberg (Self-certification)

01

Iceberg Order

LIMIT-DAY-SELL

An Iceberg order has 2

quantities:

-Order Quantity(38)

-Visible Quantity(1138)

Maximum Order Quantity is

still 500,000 and minimum

Visible Quantity is 10% of

Order Quantity.

01. Send Iceberg-LIMIT-DAY Sell order(Qty=20,000, Price=2.00 or S1, Visible Qty=5,000)

* you can select any instrument & price but remain the qty as above.

Instrument A

Buy Qty Buy Price Sell Price Sell Qty 2.00(S1) 5,000

02. Send NORMAL-LIMIT-DAY Sell order(Qty=10,000, Price=2.00 or S1)

* If you select different instrument & price, order price equal to your S1 price level.

Continuous-Trading


03. Send NORMAL-LIMIT-DAY Buy order(Qty=18,000, Price=2.00 or S1)


04. Verify the order book and matching sequence

Continuous-Trading


MatchSeq# Order OrderQty MatchQty BalanceQty MarketQty 1 Iceberg 20,000 5,000 15,000 5,000

2 Normal Sell(02) 10,000 10,000 0 0

3 Iceberg 20,000 3,000 12,000 2,000

Each time the Visible Quantity(i.e 5,000) is FULLY matched, it be replenished until the total Order Quantity is FULLY

matched.

Each time the Visible Quantity is replenished, the order will lose its priority and gain a new one based on the latest

replenishment's date and time.


Page 24 of 34

02 Continue from E10.01

Continuous-Trading


05. Send NORMAL-LIMIT-DAY Sell order(Qty=5,000, Price=2.01 or S2)


Continuous-Trading


2.01(S2) 5,000



07. Verify the order book and matching sequence

Continuous-Trading


MatchSeq# Order OrderQty MatchQty BalanceQty MarketQty 1 Iceberg 20,000 5,000 15,000 5,000

2 Normal Sell(02) 10,000 10,000 0 0

3 Iceberg 20,000 3,000 12,000 2,000

4 Iceberg 20,000 2,000 10,000 5,000

5 Iceberg 20,000 5,000 5,000 5,000

6 Iceberg 20,000 5,000 0 0

7 Normal Sell(05) 5,000 3,000 2,000 2,000

The entire Order Quantity(i.e 20,000) of an Iceberg order will have priority to match first before next price(i.e. S2).


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E11

OCO (Self-certification)

01

One-Cancel-Other Order

OCO consist of TWO orders

linked together:

- One LIMIT order

- One STOP order

Prerequisite: must complete the Module E3(Stop Orders)

01. Send a series of buy and sell orders below * you can select any instrument & price but remain the qty as below.

Instrument A


4000 1.98(B2) 2.01(S2) 3000

3000 1.97(B3) 2.03(S3) 1500

With condition: LastDonePrice > TrigerPrice, i.e LDP = 2.00

02. Send a OCO order with following requirement:

- LIMIT-DAY Sell order(Qty=5,000, Price=2.01 or S2)

- STOP-LIMIT-DAY Sell order(Qty=5,000, Price=1.99 or B1, trigger price=1.99 or B1, TriggerPriceType=LastTrade(2) TriggerPriceDirection=Down)

Instrument A


4000 1.98(B2) 2.01(S2) 8000

3000 1.97(B3) 2.03(S3) 1500



Instrument A


4000 1.98(B2) 2.03(S3) 1500

3000 1.97(B3)


Page 26 of 34



Instrument A


4000 1.98(B2) 2.03(S3) 1500

3000 1.97(B3)

05. Verify the OCO order and trade

- LIMIT-DAY Sell order (Partially matched=2,000, balance=3,000)

- STOP-LIMIT-DAY Sell order (Expired by trading systems)

If LIMIT order is partially or fully matched, the STOP order will be automatically expired. If the STOP order is triggered,

the LIMIT order will be automatically expired.

If one of the orders is cancelled by the trader or the Exchange, the other is cancel as well automatically.

Sample of FIX message for OCO

< 8=FIXT.1.1|9=213|35=D|49=012|56=USR|34=577|52=20181206-

06:54:04|50=012915|453=1|448=myTraderID|447=C|452=11|11=OCO001|48=9148|762=NM|22=99|1=000000042|38=5000|40=2|44=2.01|54=2|60

=20181206-06:54:04|59=0|528=P|529=R|58=LIMIT-ORDER|10=103|

< 8=FIXT.1.1|9=261|35=D|49=012|56=USR|34=578|52=20181206-

06:54:04|50=012915|453=1|448=myTraderID|447=C|452=11|11=OCO002|48=9148|762=NM|22=99|1=000000042|38=5000|40=4|44=1.99|54=2|60

=20181206-06:54:04|59=0|528=P|529=R|58=STOP-ORDER|583=OCO001|1100=4|1101=1|1102=1.99|1107=2|1109=D|10=084|


Page 27 of 34

02 One-Cancel-Other Order

Instrument A(Continue)


4000 1.98(B2) 2.03(S3) 1500

3000 1.97(B3)

With condition: LastDonePrice > TrigerPrice, i.e LDP = 2.01

06. Send a OCO order with following requirement:

- LIMIT-DAY Sell order(Qty=5,000, Price=2.02 or S2)

- STOP-LIMIT-DAY Sell order(Qty=5,000, Price=1.99 or B1, trigger price=1.99 or B1, TriggerPriceType=LastTrade(2) TriggerPriceDirection=Down)

Instrument A


4000 1.98(B2) 2.02(S2) 5000

3000 1.97(B3) 2.03(S3) 1500

07. Send NORMAL-LIMIT-DAY Sell order(Qty=1,000, Price=1.99 or B1)

* If you select different instrument & price, order price equal to your B1 price level.

Instrument A

Buy Qty Buy Price Sell Price Sell Qty 4000 1.98(B2) 1.99(B1) 4000

3000 1.97(B3) 2.01(S1) 3000

2.03(S3) 1500

05. Verify the OCO order and trade

- LIMIT-DAY Sell order (Expired by trading systems)

- STOP-LIMIT-DAY Sell order (Triggered and convert to LIMIT-DAY, partially match=1,000, balance=4,000)


Page 28 of 34

E12

PSS Instrument = INSTX(PSS)

01 Limit-Day Sell Order, PSS

(54=V)

01.Send PSS Order(Qty=9000)





Page 29 of 34

3.6 Module F : Market Maker

Table F1.01

Bid Qty Bid Price Offer Price Offer Qty 200 Best Bid Best Offer 200

Table F1.02


Table F1.03

Bid Qty Bid Price Offer Price Offer Qty Best Offer 400


F1 Normal Market[762=NM] Instrument = INST1

01 Submit MassQuote (Table F1.01) Submit MassQuote (Table F1.02) - ALL previous quotes for INST1

will be cancelled Submit MassQuote (Table F1.03) - ALL previous quotes for INST1

will be cancelled

Submit MassQuote to cancel

01. Submit 1 quotes (1 bids & 1 offers) for security INST1 04. Submit 1 quotes (1 bids & 1 offers) for security INST1 07. Submit 1 single-sided quote (1 offers) for security INST1

10. Submit 1 quote with BidPx, BidSize, OfferPx and OfferSize equal to “0”

02. Send Sell Order(Qty=100) 05. Send Buy Order (Qty=300) 08. Send Buy Order (Qty=300)

03. Partially Matched Best Bid (Qty=100)

06. Fully Matched Best Offer (Qty=300) 09. Partially Matched Best Offer (Qty=300) 11. ALL outstanding quotes cancelled.


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Table F2.01


200 Best Bid – 1 tick Best Offer + 1 tick 200


Table F2.02



Table F2.03



Best Offer + 2 tick 400


F2 Normal Market[762=NM] Instrument = INST1

01 Submit MassQuote (Table F2.01) Submit MassQuote (Table F2.02) - ALL previous quotes for INST1


will be cancelled

Submit MassQuote to cancel

01. Submit 3 quotes (3 bids & 3 offers) for security INST1

04. Submit 2 quotes

(2 bids & 2 offers) for security INST1 07. Submit 2 quotes & 1 single-sided quote

(2 bids & 3 offers) for security INST1

10. Submit 1 quote with BidPx, BidSize, OfferPx

and OfferSize equal to “0”

02. Send Sell Order(Qty=100) 05. Send Buy Order (Qty=300) 08. Send Sell Order (Qty=800)

03. Partially Matched Best Bid (Qty=100)

06. Fully Matched Best Offer (Qty=300) 09. Fully Matched ALL Bids

(Qty=400+400) 11. ALL outstanding quotes cancelled.


Page 31 of 34

Table F3.01 for security INST1 Table F3.02 for security INST2

Bid Qty Bid Price Offer Price Offer Qty Bid Qty Bid Price Offer Price Offer Qty 200 Best Bid Best Offer 200 300 Best Bid Best Offer 300

200 Best Bid – 1 tick Best Offer + 1 tick 200 300 Best Bid – 1 tick Best Offer + 1 tick 300

Table F3.03 for security INST1 Table F3.04 for security INST2

Bid Qty Bid Price Offer Price Offer Qty Bid Qty Bid Price Offer Price Offer Qty 400 Best Bid Best Offer 400 500 Best Bid Best Offer 500

200 Best Bid – 1 tick Best Offer + 1 tick 200 500 Best Bid – 1 tick Best Offer + 1 tick 500


F3 Normal Market[762=NM] Instrument = INST1 & INST2

01 Submit MassQuote (Table F3.01 & F3.02) Submit MassQuote (Table F3.03) - ALL previous quotes for INST1


will be cancelled

Submit MassQuote to cancel quotes for security INST1 & INST2

01. Submit 2 quotes (2 bids & 2 offers) each for security INST1 & INST2

02. Submit 2 quotes (2 bids & 2 offers) for security INST1

05. Submit 2 quotes

(2 bids & 2 offers) for security INST2

08. Submit 1 quote (BidPx, BidSize, OfferPx and

OfferSize equal to “0”) each for INST1 and INST2

03. Send Buy Order (Qty=300) for

security INST1 06. Send Sell Order (Qty=500) for

security INST2

04. Partial Matched Best Offer (Qty=300) for security INST1

07. Fully Matched Best Bid

(Qty=500) for security INST2 09. ALL outstanding quotes for security

cancelled.


Page 32 of 34

3.7 Module G : GTD/GTC Order

Module G certification required 3 days to completed the test cases. Each day required 10-15 minutes. Definition of “T day”. Example, Today 25/08/2014. Maximum expiry date of GTD/GTC is 30 Calendar day. T = 25/08/2014 T+1 = 26/08/2014 T+2 = 27/08/2014 T+30 = 24/09/2014 T+31 = 25/09/2014


G1 T day

01 GTD Limit-Day Order, INST1

Expire Date = T+1

01.Send Buy GTD Order(Qty=1000)

02.Change the reference price/Last done

price to ensure the carry forward GTD

order price is outside of static price limit

on next day


Expire Date = T+1

01.Send Sell GTD Order(Qty=2000)


04.Halt the stock



Expire Date = T+2

01.Send Buy GTD Order(Qty=3000)

02.Send Order modification on price

03.Halt the stock


Expire Date = T+2



04.Halt the stock


05 GTD Market-Day Order, INST5

Expire Date = T+2



05.Halt the stock


04.Remaining order qty convert to GTD

Limit-Day Order


Expire Date = T+31


02. Order rejected

# Exchange will halt the stock to avoid the order matched by external parties. # Exchange will halt the stock to avoid the order matched by external parties before 8:30am and resume the market during certification period.


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#Carry forward GTD order execution report will send out at 6:00am. If FIX client connect to FIX server before 6:00am will get the execution report real time. If FIX client connect after 6:00am then FIX client need to send a resend_request to request all the execution report.


G2 T + 1 day

01 Continue from section G1.01 01.Verify the order execution report(qty=1000)

02.Order is cancelled due to outside of

static price limit(378=3) at 6:00am

#Order cancel due to corporation

actions will have same execution report

message except 378=0


02.Send Order Modification(QtyRemaining=2000)

05.Send Order Modification on Expire Date to T+2

(Step 05 is optional)


06.Halt the stock


# Order expired at 5:30pm if step 05 is

skipped


02.Send Order cancellation

03.Order cancelled(378=99)




05.Halt the stock





# Exchange will halt the stock to avoid the order matched by external parties before 8:30am.


Page 34 of 34


G3 T + 2 day

01 Continue from section G2.01 N/A


02.Wait order to expired

03.Order expired at 5:30pm



02.Wait order to expired

03.Order expired at 5:30pm



G4 T day

01 GTC Limit-Day Order, INST1 01.Send Buy GTC Order(Qty=1000)

02.Change the reference price/Last done

price to ensure the carry forward GTD

order price is outside of static price limit

on next day

02 GTC Limit-Day Order, INST2

01.Send Sell GTC Order(Qty=2000)


04.Halt the stock


03 GTC Limit-Day Order, INST3

01.Send Buy GTC Order(Qty=3000)


03.Halt the stock

# Tester should verify the order execution report on next day # Exchange may set the Maximum expiry date of GTC is 3 Calendar day for certification purpose only.

BTS2 FIX Certification Pack - Bursa Malaysia...BTS2 FIX Certification Version 1.12 Page 2 of 34 Document Revision Version Author Description of Version Date Completed 1.01 Ong Kian

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